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Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility - MaRDI portal

Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility

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Publication:6549857

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DOI10.1007/s11147-023-09198-2zbMath1537.91324MaRDI QIDQ6549857

Yuecai Han, Fengtong Zhang

Publication date: 4 June 2024

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

term structure derivative pricing CIR model unspanned stochastic volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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